CItest2b: GAUSS module to implement tests for cointegration with two unknown structural breaks
This GAUSS module implements tests for cointegration with two unknown structural breaks. The tests are developed by (Hatemi-J 2008, Empirical Economics). The timing of structural break is determined by the underlying data. For critical values see the published paper. The module provides also the estimated cointegrating parameters with the breaks.
|Date of creation:||14 Nov 2009|
|Date of revision:|
|Contact details of provider:|| Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA|
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